Le livre est actuellement en rupture de stock
En savoir plus sur le livre
Focusing on credit risk and its implications for OTC derivatives post-2007 Credit Crisis, this book explores the correlation between entities during macroeconomic shocks and its effect on credit valuation adjustment (CVA). It discusses key credit risk modeling approaches, including intensity and structural models, with practical examples for calculating CVA. The text highlights Brigö's model-independent framework for derivatives valuation under both unilateral and bilateral credit risk scenarios and applies these frameworks to credit default swap (CDS) contracts, assessing their effectiveness in capturing correlation effects.
Achat du livre
Credit Valuation Adjustment (CVA), Fred Hoffman
- Langue
- Année de publication
- 2012
- product-detail.submit-box.info.binding
- (souple)
Nous vous informerons par e-mail dès que nous l’aurons retrouvé.
Modes de paiement
Personne n'a encore évalué .